On the pricing of defaultable bonds using the framework of barrier options
スポンサーリンク
概要
- 論文の詳細を見る
In the framework of the structural approach of bond pricing, we extend the Fujita-Ishizaka model by considering more realistic payoffs. The payoff to the bondholder at time of default, provided that default occurs prior to maturity, depends on the firm value at time of default. We also find the new measure with the advantage to calculate the value of bond and its financial interpretation. In addition, we present some numerical exmaples.
- Springer Netherlandsの論文
- 2003-09-00
Springer Netherlands | 論文
- Developmental regulation of photosynthate distribution in leaves of rice
- Isolation and characterization of bacteria from soil contaminated with diesel oil and the possible use of these in autochthonous bioaugmentation
- Removal of estrogenic activity of iso-butylparaben and n-butylparaben by laccase in the presence of 1-hydroxybenzotriazole
- Degradation of Polyethylene and Nylon-66 by the Laccase-Mediator System
- An EntD-like phosphopantetheinyl transferase gene from Photobacterium profundum SS9 complements pfa genes of Moritella marina strain MP-1 involved in biosynthesis of docosahexaenoic acid